About the workshop
The BIS organised a workshop on covered interest parity in Basel on 22 and 23 May 2017. The one and half day symposium brought together a small group of academics, central bankers and market practitioners with expertise on the subject. The goal was to understand the extent of deviations of forward exchange rates from interest rate differentials, at both short and long maturities, and their drivers. What are the deviations telling us about the functioning of international finance?
| Jaime Caruana, Bank for International Settlements | remarks |
| CIP then and now | Richard Levich, New York University | presentation |
Chair
Hyun Song Shin
| Deviations from covered interest parity | |
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| paper presentation | Adrien Verdelhan, Massachusetts Institute of Technology (with W Du and A Tepper) |
| Credit migration and covered interest rate parity | |
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| paper presentation | Gordon Liao, Harvard Business School Discussants David Lando, Copenhagen Business School | presentation |
Chair
Andrea M Maechler, Swiss National Bank
| Regulatory reforms and the dollar funding of global banks: evidence from the impact of monetary policy divergence | |
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| paper presentation | Nao Sudo, Bank of Japan (joint with T Iida, T Kimura) |
| The failure of covered interest parity: FX hedging demand and costly balance sheets | |
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| paper presentation | Vlad Sushko, Bank for International Settlements (with C Borio, R McCauley, and P McGuire) Discussants Angelo Ranaldo, University of St Gallen | presentation |
| How I learned to stop worrying and love the basis | |
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| speech | Guy Debelle, Reserve bank of Australia |
Chair
Guy Debelle, Reserve Bank of Australia
| Segmented money markets and covered interest parity arbitrage | |
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| paper presentation | Dagfinn Rime, BI Norwegian Business School (with A Schrimpf and O Syrstad) |
| Limits to arbitrage in the foreign exchange market: evidence from FX trade repository data | |
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| paper presentation | Gino Cenedese, Bank of England (with P Della Corte and T Wang) Discussants Suresh Sundaresan, Columbia Business School | presentation |
| Developments in FX swap markets - Money market statistical reporting perspective | |
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| presentation | Pascal Nicoloso, European Central Bank |
| Dealer pricing distortions and the leverage ratio rule | |
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| presentation additional paper | Darrell Duffie, Stanford University |
Chair
Claudio Borio, Bank for International Settlements
| Dollar funding and the lending behaviour of global banks | |
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| paper presentation | Victoria Ivashina, Harvard University (with J Stein and D Scharfstein) |
| The dollar, bank leverage and the deviation from covered interest parity | |
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| paper presentation | Wenxin Du, Board of Governors of the Federal Reserve (with S Avdjiev, C Koch and H S Shin) Discussants |
Chair
Claudio Borio, Bank for International Settlements
| Should the basis worry us? What, if anything, should we do about it? | |
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| presentation | Andrea Maechler, Swiss National Bank Anna Nordstrom, Federal Reserve Bank of New York Beatrice Devillon-Cohen, Société Générale James Hassett, Barclays |